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Three-Month SARON® Futures

Supporting the Swiss market transition to a new risk-free rate

Regulatory pressure, along with ongoing issues regarding LIBOR, has created the need for alternative risk free reference rates (RFRs). In Switzerland the National Working Group (NWG) has proposed SARON® as an alternative interest rate benchmark. To help the market with an orderly transition to the new benchmark, Eurex has launched a Three-Month SARON® Futures contract, the first exchange-traded SARON® Futures globally, in October 2018.

In Switzerland both LIBOR and the TOIS-fixing stopped being the most reliable way to determine the cost of debt securities. In 2017 the NWG proposed SARON® as an alternative interest rate benchmark. At the end of 2017 the Swiss market replaced the TOIS fixing with SARON®. Eurex Clearing AG stopped clearing TOIS Indexed Swaps at the end of 2017 and at the same time switched to a SARON® swap discounting curve for CHF swap transactions. ECAG offers clearing for SARON® swaps since 2017.


SARON® is the new Risk Free interest rate for the discount of CHF OTC Interest Rate Swaps. It is a collateralized reference rate based on actual market transactions and quotes in the regulated SIX Repo market. Calculated transparently in accordance with the IOSCO Principles for financial benchmarks, SARON® is compliant with international benchmark standards.

Key benefits

  • Hedging
    Help the Swiss market transition smoothly to the new risk-free rate. Hedge with a future referencing the same rate as the one used for discounting.
  • Liquidity
    Orderbook liquidity supported by dedicated market makers.
  • Flexibility
    Can be traded in the orderbook or in TES (block).
  • Margin efficiency
    Included in the same liquidation group as CHF OTC Swaps cleared at Eurex Clearing and CONF Futures & therefore offering opportunities for margin reduction with PRISMA margin methodology

Products

Highlights

First exchange-traded SARON® Futures globally

In this short video interview, Lee Bartholomew, Head of Fixed Income Product R&D, and Jenny Ivleva, Fixed Income Product R&D, share the reasons why Eurex launched the Three-Month SARON® Futures, how it fits into the overall product strategy, and how it supports the Swiss market transition to a new risk-free rate.

Contacts

Francesca Dell'Era

Eurex Global Derivatives AG
Fixed Income Sales Europe

6300 Zug

T +41-43-430-71 23

Jutta Frey-Hartenberger

Eurex Frankfurt AG
Fixed Income ETD Product Design

65760 Eschborn

T +49-69-211-1 49 88

Sales Fixed Income

Vassily Pascalis

London Representative Office
Equity & Index Sales EMEA

London E14 4HE

T +44-20-78 62-72 11



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